Hello @Marco.Buonastella

Based on my research, the Data Library for .NET Content layer does not expose the API for setting HTTP Header parameter. If you need to set the request's HTTP Header manually, you need the Endpoint feature of the Delivery layer as follows.

EndpointRequest.Definition(endpointUrl).Method(<POST or GET>).HeaderParameter("xxxx", "value1").BodyParameters(<Requesty Body>).GetData();

Example Code:

using Refinitiv.Data.Core;
using Refinitiv.Data.Delivery.Request;
using System;
...
// Create the platform session.
using ISession session = Configuration.Sessions.GetSession();


// Open the session
session.Open();


// ********************************************************************************************
// Basic Endpoint retrieval.
// The specific endpoint URL below contains all required parameters.
// ********************************************************************************************
var endpointUrl = "https://api.refinitiv.com/data/quantitative-analytics/v1/financial-contracts";


var endpoint = EndpointRequest.Definition(endpointUrl).Method(EndpointRequest.Method.POST);


Console.WriteLine("\nRequesting data...");


// Create request object...
var bond = new JObject()
{
    ["fields"] = new JArray("InstrumentTag", "InstrumentDescription", "BondType", "CleanPrice","DirtyPrice", "MarketValueInDealCcy", "IssueDate", "EndDate"),
    ["outputs"] = new JArray("Headers", "Data"),
    ["universe"] = new JArray(new JObject()
    {
        ["instrumentType"] = "Bond",
        ["instrumentDefinition"] = new JObject()
        {
            ["instrumentTag"] = "TreasuryBond_10Y",
            ["instrumentCode"] = "US10YT=RR"
        }
    })
};


var response = endpoint.HeaderParameter("x-tr-applicationid", "value1").BodyParameters(bond).GetData();
Console.WriteLine(response);

Result:

I hope this information helps.